Actually, its worse than that! How can the sun have much mass if it's just a bunch of hydrogen? (The lightest possible gas.)
Answer: it's one heckuva lot of hydrogen! If you get enough of anything, even the lightest element in the universe, it will have a very large mass!

What keeps it spherical (better than "circular")? The same thing that keeps planets spherical: the gravitational attraction of its parts for each other.

The Sun has, on average, density slightly less than that of water (but 90 times greater at its center since its mass, thus gravitation, is so great, thereby maintaining fusion). The Sun has approximately 10 million times the volume of the Earth, and 300,000 its mass.

Originally posted by Loren Booda
90 times greater at its center since its mass, thus gravitation, is so great, thereby maintaining fusion

Just to clarify (although this may be what you had in mind):

At the center of the sun (or any celestial body), you have the least gravity, since you are pulled the same in all directions; if you could build a spherical room in the center of the sun, it would be a zero-gravity place, much as what happens when you introduce a charge inside a charged spherical shell.

At the center, there is, however, the largest pressure, due to all matter being pulled towards that point.

At the center of the Sun, true, you have no gravity, but you do have the pressure, which the gravity acting in the rest of the Sun, brings to the center. It is the pressure, not the gravity itself, which raises the temperature and makes fusion possible.

One has to note that the Sun is a body made of gas mainly hydrogen which then is consumed by the Sun itself to power it's Nuclear reactions. This is then converted to helium. Although hydrogen is light one has to consider the immense size of the Sun which obviously has a huge mass. I don't know if this example is valid but this is liek having a pack of papers, one paper is light but when amounts increase the pack get's heavier. Now about the sun having circular shape. This is like all otehr celestial bodies they have a circular shape because of the effect of the gravitational field.